5 January 2008 Effects of diversification among assets in an agent-based market model
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Abstract
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmié et al.1 In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We explore numerically the effect of this diversification as an additional source of complexity in the financial market and we discuss its destabilizing role. We also point out the relevance of these studies for financial decision making.
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F. Ghoulmié, M. Bartolozzi, C. P. Mellen, T. Di Matteo, "Effects of diversification among assets in an agent-based market model", Proc. SPIE 6802, Complex Systems II, 68020D (5 January 2008); doi: 10.1117/12.758912; https://doi.org/10.1117/12.758912
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